OSQP and Sparsegrad: Fast Model Predictive Control in Python for an inverted pendulum

OSQP is a quadratic programming solver that seems to be designed for control problems. It has the ability to warm start, which should make it faster.

I heard about it in this Julia talk

They have some really cool technology over there in Julia land.

The problem is setup as a sequential quadratic program. I have a quadratic cost to try to bring the pendulum to an upright position.

The equations of motion are roughly




We don’t include the back reaction of the pole on the cart. It is basically irrelevant for our systems and overly complicated for no reason. The interesting bit is the nonlinear dynamics and influence of the cart acceleration.

I write down obeying the equations of motion as a linear constraint between timesteps. I use sparsegrad to get a sparse Jacobian of the equations of motion. The upper and lower (l and u) bounds are set equal to make an equality constraint.

Our setup has a finite track about a meter long. Our motors basically are velocity control and they can go about +-1m/s. Both of these can be encapsulated as linear constraints on the position and velocity variables. l \le Ax \le u


\phi(x) \approx \phi(x_0) + \partial \phi(x_0) (x - x_0)

A= \partial \phi(x_0)

l=u=\partial \phi(x_0) x_0 - \phi_0(x_0)

Similarly for finding the quadratic cost function in terms of the setpoint x_s. \frac{1}{2}x^T P x + q^Tx= \frac{1}{2}(x-x_s)P(x-x_s) Expanding this out we get

q = - Px_s

I run for multiple iterations to hopefully converge to a solution (it does). The initial linearization might be quite poor, but it gets better.

The OSQP program seems to be able to run in under 1ms. Nice! Initial tests of our system seem to be running at about 100Hz.

Could probably find a way to make those A matrices faster than constructing them entirely anew every time. We’ll see if we need that.

I very inelegantly smash all the variables into x. OSQP and scipy sparse don’t support multiIndex objects well, best as I can figure. Vectors should be single dimensioned and matrices 2 dimensioned.

Still to be seen if it works on hardware. I was already having infeasibility problems. Adjusting the regularization on P seemed to help.



PyTorch Trajectory Optimization Part 2: Work in Progress

I actually have been plotting the trajectories, which is insane that I wasn’t already doing in part 1. There was clearly funky behavior.

Alternating the Lagrange multiplier steps and the state variable steps seems to have helped with convergence. Adding a cost to the dynamical residuals seems to have helped clean them up also.

I should attempt some kind of analysis rather than making shit up. Assuming quadratic costs (and dynamics), the problem is tractable. The training procedure is basically a dynamical system.

Changed the code a bit to use more variables. Actually trying the cart pole problem now. The results seem plausible. A noisy but balanced dynamical residual around zero. And the force appears to flip it’s direction as the pole crosses the horizontal.

Polyak’s step length


The idea is that if you know the optimal value you’re trying to achieve, that gives you a scale of gradient to work with. Not as good as a hessian maybe, but it’s somethin’. If you use a gradient step of x + (f-f*)\frac{\nabla f}{|\nabla f|^2} it at least has the same units as x and not f/x. In some simple models of f, this might be exactly the step size you’d need. If you know you’re far away from optimal, you should be taking some big step sizes.

The Polyak step length has not been useful so far. Interesting idea though.



  1. The step size is ad hoc.
  2. Lagrange multiplier technique does not seem to work
  3. Takes a lot of steps
  4. diverges
  5. seems to not be getting an actual solution
  6. Takes a lot of iterations

On the table: Better integration scheme. Hermite collocation?

Be more careful with scaling, what are the units?

mutiplier smoothing. Temporal derivative of lagrange multiplier in cost?

alternate more complete solving steps

huber on theta position cost. Square too harsh? Punishes swing away too much?

more bullshit optimization strats as alternatives to grad descent

weight sooner more than later. Care more about earlier times since want to do model predictive control

Just solve eq of motion don’t worry about control as simpler problem

Pole up balancing

logarithm squeezing method – nope

The lambda * x model of lagrange mulitplier. Leads to oscillation

Damping term?

This learning rate is more like a discretization time step than a decay parameter. Well the product of both actually.

Heat equation model. Kind of relaxing everything into place



Made some big adjustments

Switched to using pytorch optimizers. Adam seems to work the best. Maybe 5x as fast convergence as my gradient descent. Adagrad and Adadelta aren’t quite as good. Should still try momentum. Have to reset the initial conditions after every iteration. A better way? Maybe pass x0 in to calc_loss separately?

Switched over to using the method of multipliers http://www.cs.cmu.edu/~pradeepr/convexopt/Lecture_Slides/Augmented-lagrangian.pdf

The idea is to increase the quadratic constraint cost slowly over time, while adjusting a Lagrange mutiplier term to compensate also. Seems to be working better. The scheduling of the increase is still fairly ad hoc.



The left is residuals of obeying the equations of motion, the middle is the force and trajectories themselves and the right is cost vs iteration time. Not entirely clear that a residual of 0.04 is sufficient. Integrated over time this could be an overly optimistic error of 0.2 ish I’d guess. That is on the edge of making me uncomfortable. Increase rho more? Also that force schedule seems funky and overly complex. Still, improvement from before. Feels like we’re cookin’ with gas



We have been fighting a problem for weeks. The Serial port was just not reliable, it had sporadic. The problem ended up being a surprising thing, we were using threading to receive the messages nd checking for limit switches. It is not entirely clear why but this was totally screwing up the serial port update in an unpredictable manner. Yikes. What a disaster.

After that though smoooooooth sailing.

With a slight adaptation of the previous Openai gym LQR cartpole code and a little fiddling with parameters we have a VERY stable balancer. We removed the back reaction of the pole dynamics on the cart itself for simplicity. This should be accurate when the pole vastly.

We did find that the motor is exactly velocity control in steady state with a linear response. There is a zero point offset (you need to ask for 100 out of 2046 before you get any movement at all).

We’ll see where we can get with the Lyapunov control next time.